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Derivatives Valuation - ECFS881
This unit deals with important quantitative issues for derivatives market practitioners. The aim is to extend the student's understanding of derivatives valuation. This unit looks at key numerical techniques and applies them to value exotic, GARCH and interest rate options in cases where classical Black-Scholes assumptions are inappropriate. Teaching uses both lectures and hands-on sessions with computer software. This unit complements ECFS882, which gives comprehensive treatment of exotic options in a Black-Scholes setting.
| Credit Points: | 2 |
| When Offered: | AFC Jan CBD - Applied Finance Centre, City Campus, November 2012 to June 2013 AFC Jul CBD - Applied Finance Centre, City Campus, May to November |
| Staff Contact(s): | Associate Professor Robert Trevor |
| Prerequisites: |
(Admission to MAppFin or PGCertAppFin) and (ECFS865 and ECFS867 and ECFS868 with SNG of 55 in all three units) |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
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